Row
Rank
Predicted Beta
Idiosyncratic Volatility
Row
Annualized return and volatility
| Close | |
|---|---|
| Annualized Return | 0.0078 |
| Annualized Std Dev | 0.2514 |
| Annualized Sharpe (Rf=0%) | 0.0310 |
Row
Daily Return Statistics
| Close | |
|---|---|
| Observations | 4274.0000 |
| NAs | 1.0000 |
| Minimum | -0.2061 |
| Quartile 1 | -0.0051 |
| Median | 0.0008 |
| Arithmetic Mean | 0.0002 |
| Geometric Mean | 0.0000 |
| Quartile 3 | 0.0063 |
| Maximum | 0.2735 |
| SE Mean | 0.0002 |
| LCL Mean (0.95) | -0.0003 |
| UCL Mean (0.95) | 0.0006 |
| Variance | 0.0003 |
| Stdev | 0.0158 |
| Skewness | -0.1813 |
| Kurtosis | 43.7181 |
Downside Risk
| Close | |
|---|---|
| Semi Deviation | 0.0117 |
| Gain Deviation | 0.0119 |
| Loss Deviation | 0.0142 |
| Downside Deviation (MAR=210%) | 0.0159 |
| Downside Deviation (Rf=0%) | 0.0116 |
| Downside Deviation (0%) | 0.0116 |
| Maximum Drawdown | 0.7274 |
| Historical VaR (95%) | -0.0206 |
| Historical ES (95%) | -0.0391 |
| Modified VaR (95%) | -0.0127 |
| Modified ES (95%) | -0.0127 |
| From | Trough | To | Depth | Length | To Trough | Recovery |
|---|---|---|---|---|---|---|
| 2007-05-23 | 2009-03-09 | 2020-12-18 | -0.7274 | 3420 | 452 | 2968 |
| 2004-04-02 | 2004-07-27 | 2006-11-22 | -0.1717 | 667 | 79 | 588 |
| 2006-12-27 | 2007-03-05 | 2007-05-22 | -0.0699 | 100 | 45 | 55 |
| 2020-12-30 | 2021-01-06 | 2021-01-21 | -0.0507 | 15 | 5 | 10 |
| 2021-02-22 | 2021-03-04 | 2021-03-11 | -0.0417 | 14 | 9 | 5 |
Row
Monthly and Calendar Year Returns
| Jan | Feb | Mar | Apr | May | Jun | Jul | Aug | Sep | Oct | Nov | Dec | Close | |
|---|---|---|---|---|---|---|---|---|---|---|---|---|---|
| 2004 | NA | NA | 1 | -1 | 1.4 | 0.3 | 1.2 | 1.3 | 0.2 | 1.8 | 0.5 | -0.2 | 6.6 |
| 2005 | -0.4 | 0.8 | -0.8 | 0.7 | 0.7 | 0 | -0.4 | -1 | -0.3 | -0.7 | 0.5 | 0.4 | -0.4 |
| 2006 | -0.2 | 0.2 | 0.1 | 0 | 0.5 | 0.2 | 0.1 | 0.2 | 0.5 | -0.8 | 0.1 | 0.4 | 1.5 |
| 2007 | 0.1 | -1.5 | 0.2 | -0.5 | 0.4 | -0.7 | -0.7 | 1.1 | -0.1 | -2 | 2.3 | 0.3 | -1 |
| 2008 | 1.3 | -2.4 | 2.9 | 1.1 | -0.2 | -1.3 | 0.9 | -0.7 | 3.8 | 3 | -9.8 | 2.6 | 0.4 |
| 2009 | -2.7 | -2.4 | 2.8 | 1.7 | 2.5 | -0.3 | 0.4 | -1.6 | -2.6 | -3.8 | 0.9 | 0.7 | -4.5 |
| 2010 | 1 | 0.6 | 0.5 | -0.5 | -1.5 | -0.1 | 0.2 | 2.3 | 0.7 | -0.8 | 1.5 | 0.4 | 4.4 |
| 2011 | 1.7 | -1.3 | 0.4 | 0.4 | -1.1 | 1.4 | 0.8 | -0.3 | -1.8 | -2.4 | 1 | 0.5 | -1.1 |
| 2012 | 2.1 | 0.7 | 0.5 | -0.1 | -2.3 | 1.8 | 0.9 | 1 | 0.6 | 0.2 | -0.6 | 0.6 | 5.5 |
| 2013 | -0.1 | -1.3 | -0.7 | 0.3 | -1.2 | 0.8 | 0.3 | 0.4 | 0.4 | -0.4 | 0.2 | 0.1 | -1.2 |
| 2014 | 0.6 | 0.7 | 1 | -0.2 | 0.7 | 0.2 | -0.8 | -0.8 | -1.3 | 0.7 | -2.1 | -0.2 | -1.6 |
| 2015 | -1.2 | 0.1 | -0.6 | 0.7 | 0.3 | 0.5 | 0.6 | -3.1 | 0.3 | -0.5 | 0.8 | -0.6 | -2.7 |
| 2016 | 1.1 | 2.4 | 1.2 | -0.2 | 1.1 | 1.1 | 0.2 | 0.8 | 0.4 | -1.3 | -0.2 | -0.5 | 6.2 |
| 2017 | -0.6 | 0.8 | 0.2 | 0.2 | 0.5 | 0.9 | 0.8 | 0.8 | 0.1 | 0.3 | 0 | -0.1 | 4 |
| 2018 | -0.2 | -1.2 | 1.6 | 0.2 | 0.8 | 1 | 1.2 | -1.2 | 0.4 | 1.8 | 1.3 | 1.9 | 8 |
| 2019 | 0.4 | 0.3 | 1.3 | -0.2 | -1.3 | 0.9 | -1 | 0.1 | -0.8 | 0.2 | -0.2 | 0.7 | 0.4 |
| 2020 | -1.6 | -3.1 | -7.3 | -2.8 | 0.8 | 0.3 | 0.5 | 0.7 | 0.8 | -1.7 | 1.8 | -0.4 | -11.6 |
| 2021 | 2.4 | 2.2 | 0.8 | NA | NA | NA | NA | NA | NA | NA | NA | NA | 5.5 |
Row
Price Chart
# tidytable [6 × 21]
datadate Close tic.x spy ret.x ret_1W.x ret_1M.x ret_3M.x ret_1Y.x ret_3Y.x ret_5Y.x tic.y gld ret.y ret_1W.y
<date> <dbl> <chr> <dbl> <dbl> <dbl> <dbl> <dbl> <dbl> <dbl> <dbl> <chr> <dbl> <dbl> <dbl>
1 2004-03-26 15 SPY 111. 3.00e-4 -3.00e-4 -0.034 0.0129 0.274 -0.011 -0.120 <NA> NA NA NA
2 2004-03-29 15.0 SPY 113. 1.41e-2 2.68e-2 -0.0211 0.0263 0.298 0.0132 -0.113 <NA> NA NA NA
3 2004-03-30 15.0 SPY 113. 3.40e-3 3.21e-2 -0.0275 0.0163 0.333 -0.0132 -0.128 <NA> NA NA NA
4 2004-03-31 15.0 SPY 113. 1.20e-3 3.24e-2 -0.0206 0.0173 0.314 -0.0245 -0.120 <NA> NA NA NA
5 2004-04-01 15.2 SPY 114. 6.00e-3 2.50e-2 -0.0165 0.0225 0.291 -0.0383 -0.132 <NA> NA NA NA
6 2004-04-02 15.2 SPY 115. 7.60e-3 3.25e-2 -0.0116 0.0307 0.307 -0.0035 -0.121 <NA> NA NA NA
# … with 6 more variables: ret_1M.y <dbl>, ret_3M.y <dbl>, ret_1Y.y <dbl>, ret_3Y.y <dbl>, ret_5Y.y <dbl>, rel <dbl>Row
Rolling Performance Chart
Row
Snail Trail Chart
